Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Annualized return and volatility

Close
Annualized Return 0.0680
Annualized Std Dev 0.2956
Annualized Sharpe (Rf=0%) 0.2301

Row

Daily Return Statistics

Close
Observations 5587.0000
NAs 1.0000
Minimum -0.1525
Quartile 1 -0.0090
Median 0.0006
Arithmetic Mean 0.0004
Geometric Mean 0.0003
Quartile 3 0.0100
Maximum 0.2147
SE Mean 0.0002
LCL Mean (0.95) -0.0001
UCL Mean (0.95) 0.0009
Variance 0.0003
Stdev 0.0186
Skewness 0.0512
Kurtosis 8.4137

Downside Risk

Close
Semi Deviation 0.0133
Gain Deviation 0.0130
Loss Deviation 0.0135
Downside Deviation (MAR=210%) 0.0178
Downside Deviation (Rf=0%) 0.0131
Downside Deviation (0%) 0.0131
Maximum Drawdown 0.6725
Historical VaR (95%) -0.0277
Historical ES (95%) -0.0431
Modified VaR (95%) -0.0268
Modified ES (95%) -0.0365
From Trough To Depth Length To Trough Recovery
2013-04-12 2020-03-23 NA -0.6725 2000 1749 NA
2007-07-09 2009-03-09 2012-09-13 -0.6636 1309 421 888
2000-03-10 2003-02-12 2004-03-31 -0.4553 1018 733 285
2006-05-10 2006-06-13 2006-10-05 -0.2807 104 24 80
1999-05-11 1999-10-15 1999-12-08 -0.2782 148 111 37

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Close
1999 2.5 -1.7 0.9 -2.1 -1.8 -0.4 0 1.9 0 2.8 -1.2 0.7 1.5
2000 0.4 2.5 -0.7 -1.9 2.9 3.5 0.8 1.5 -2.8 -2.8 -0.4 0.9 3.8
2001 -1.6 1 2.7 0 1.7 2.1 -0.4 1.1 0.4 2.9 -0.9 -1.7 7.6
2002 -2.1 1.7 -0.5 -0.3 0.3 -2.7 -3.2 0.4 4.7 1.9 1.3 -0.2 1.1
2003 0.4 -2.5 2 0 0.3 1.9 -0.4 0.1 1.2 1 2.1 0.6 6.8
2004 0.5 3.1 0.4 -0.7 -1.6 0.1 -0.2 0.4 2.1 0.9 1.6 -0.1 6.6
2005 2 -0.1 0.5 1.5 1.5 0.4 2 1.9 1.8 0.8 2.5 -0.4 15.2
2006 0.7 2.4 0.6 0.5 3.4 1.1 -0.8 1.5 0.3 -0.8 -1 1 9
2007 2 -0.7 -0.3 0 2 -0.1 -1.4 3 1.8 -3 2.1 -1.1 4.3
2008 2.4 -4.9 4.6 0.2 0.6 -1.9 -0.6 -0.6 -0.1 -2.1 -7.1 -0.1 -9.6
2009 -1.6 -2.2 2.5 2.1 2.7 0.9 1.2 -3.5 -3.3 -3.8 3.6 -0.7 -2.3
2010 2.4 0.9 1 -1.4 -1.6 -0.3 0.1 3 1.7 0.6 1.5 0.9 9
2011 2.8 -1.2 1.4 1.1 -2.5 1.1 -0.6 -0.2 -2.6 -3.3 -0.6 -0.1 -4.8
2012 1.8 1.7 0.9 0.9 -1.5 3.4 -0.4 0.1 1.1 1.1 -0.1 1.6 10.9
2013 1.8 0 -0.7 -1.6 1.8 1.2 2.4 0.7 2.4 0.4 1.4 0.4 10.5
2014 -0.3 -0.4 0 0.9 -1.3 0.6 0.7 0.2 -1.6 0.5 -2.4 0.2 -3
2015 -3 0.3 1.7 -0.5 -0.6 -0.6 2.3 -3 -0.2 0.6 1.5 0.2 -1.5
2016 -0.6 2.9 0 1.2 -0.2 0.3 -0.3 0.5 -0.3 -2.8 -1.9 -0.5 -1.9
2017 0.2 2.6 -0.9 0.6 1 0.6 -0.1 0.5 0.3 -0.5 0.5 1.5 6.5
2018 1.8 0.5 2.6 -1.3 0.7 0.5 -0.5 -0.2 0.7 4.2 -1 0.1 8.2
2019 -0.3 -0.6 2.3 -1 -3.6 1.1 -1.3 2.2 -0.8 1.9 -0.6 0.1 -0.9
2020 -1.9 -1.2 -5.9 -4 2.9 1 -1.2 2.4 -0.8 1.3 3.6 -1.2 -5.3
2021 3.9 2 -1.2 NA NA NA NA NA NA NA NA NA 4.8

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Price Chart

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Rolling Performance Chart

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Snail Trail Chart